Girsanov formula for G-Brownian motion: the degenerate case

2018/08/06 by Guomin Liu, Liu, Guomin
Economics, Econometrics and Finance · Social Sciences · #60H10 #60H30 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1808.01825

openalex publication_date 2018/08/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we prove the Girsanov formula for G-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the G-expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingale of G-Brownian motion are important for our arguments.

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